Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0110
Annualized Std Dev 0.1284
Annualized Sharpe (Rf=0%) -0.0859

Row

Daily Return Statistics

Close
Observations 5580.0000
NAs 1.0000
Minimum -0.1250
Quartile 1 -0.0034
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0034
Maximum 0.0933
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0081
Skewness -1.2799
Kurtosis 32.7043

Downside Risk

Close
Semi Deviation 0.0060
Gain Deviation 0.0060
Loss Deviation 0.0070
Downside Deviation (MAR=210%) 0.0112
Downside Deviation (Rf=0%) 0.0060
Downside Deviation (0%) 0.0060
Maximum Drawdown 0.5684
Historical VaR (95%) -0.0108
Historical ES (95%) -0.0188
Modified VaR (95%) -0.0107
Modified ES (95%) -0.0107
From Trough To Depth Length To Trough Recovery
1999-01-05 2008-10-10 2013-01-08 -0.5684 3517 2450 1067
2013-01-15 2020-03-23 NA -0.3676 2060 1809 NA
2013-01-11 2013-01-11 2013-01-14 -0.0065 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.7 0.3 0 -0.3 -0.4 0.7 0.3 0.4 -0.4 -0.4 0.4 -1.6 -0.3
2000 -0.4 0.4 4.1 0.8 2.4 0 -0.4 1.2 0 0 0 -0.4 7.9
2001 0.6 -0.6 0.8 0.3 0 0.6 0 0.1 1.4 0.4 0.6 -0.1 4.1
2002 0.5 0 -0.6 0.8 0.3 -1.6 0.4 0.5 0.6 0.5 0.1 0.3 1.7
2003 -2.3 -0.2 -0.7 0 0.5 0.4 -0.2 0.2 -0.7 -0.5 0.7 0 -2.8
2004 -0.5 0 -0.1 0.3 -0.1 0.9 0.3 0.3 0.5 -0.3 1.2 0.9 3.4
2005 -0.7 -0.7 2.1 0.5 0.3 0.6 0.1 0.2 0.6 -1 1.2 0.2 3.5
2006 -0.8 0.3 0.5 0.1 -1.2 1.1 0.1 0.4 -0.2 0.7 0.5 -0.3 1.2
2007 0.4 0.5 -0.3 -0.2 0.1 0.1 0.5 -0.3 0 -0.4 0.7 1.3 2.4
2008 0.2 -0.7 0 0.5 0 0.3 0.1 0 0.2 -1.9 1.4 3.2 3.2
2009 -1.2 0.9 1 -1.2 0 0.2 0.7 0.5 1.2 -0.2 0.4 1.5 3.9
2010 0.3 0.1 -0.1 0.9 0.1 -0.3 0.5 0.2 0.3 -0.5 0 1.8 3.3
2011 0.8 0.4 0.5 0.4 0.6 0.1 1.4 0.9 0.1 1.2 0.4 0 7.1
2012 0.3 -0.5 0.2 1.1 0.9 -0.5 0.3 -0.7 0.4 0.2 -0.3 -1.2 0.1
2013 -1.3 0.2 0.5 0 -0.7 1.1 -0.6 -0.4 0.5 -0.1 0.1 -0.5 -1.1
2014 -0.2 0.7 0.2 0.3 0.1 0 -0.1 0.4 0 0.1 0.1 -0.1 1.5
2015 0.4 0.6 0.2 -0.2 0.1 -0.3 1 -0.3 0.3 0.1 0.4 0.5 2.9
2016 0.1 -0.1 0.1 0.5 0.4 0.7 0 0.1 -0.1 0.1 -0.5 -0.5 0.8
2017 -0.3 -0.5 -0.1 0.1 0.1 0 0.3 -0.3 0.5 0.2 0.4 -0.1 0.3
2018 -0.3 0 -0.1 0 -0.1 0.2 -0.3 0.1 0 0.1 0.4 0.5 0.6
2019 -0.2 -0.1 0.1 0.3 0.5 -0.1 0.6 0.4 -0.2 0.2 0.1 0 1.8
2020 -0.1 -1 -2.8 0.1 1 0.4 1.1 0.1 0.6 0.3 0.6 0.2 0.3
2021 0.2 0.7 0.1 NA NA NA NA NA NA NA NA NA 1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  19.6 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  19.4 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  19.4 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  19.5 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  19.4 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  19.4 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart